Primer Contest 15
Duration
1h 0m
Problems
5
Total difficulty
7400
Participants
0
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| # | Name | Tags | Difficulty | |
|---|---|---|---|---|
| ✓ | A | Polar coordinates for area of circle A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 7 · Multivariable calculus: chain rule, integration by substitution, extrema. Barrier options | multivariablepolararea | |
| ✓ | B | ATM call put dividends q vs r A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 3 · Probability concepts. Black-Scholes formula. Greeks and Hedging | optionsput-call-parityatm | |
| ✓ | C | OTM put 6-month lognormal A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 4 · Lognormal random variables. Risk-neutral pricing | lognormaloptionsprobabilities | |
| ✓ | D | Duration convexity identity A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 2 · Numerical integration. Interest Rates. Bonds | bondsdurationconvexityidentity | |
| ✓ | E | Three-month ATM call dividends 2% A Primer for the Mathematics of Financial Engineering (Stefanica) · Ch 8 · Lagrange multipliers. Newton's method. Implied volatility. Bootstrapping | implied-volatilitynewtonsecantbisection |